I've seen this happen before, usually it's because the person has uploaded an image that doesn't meet Facebook's requirements, like a picture that's too large or not in the right format. Sometimes it can also be due to a glitch, where the image just doesn't load properly. I don't think it's related to privacy settings, because if that were the case, you wouldn't be able to see the person's profile at all. It's possible that the person is also using an older device or browser that's not compatible with Facebook's image requirements, which can cause the black square to appear instead of their actual profile picture.